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Spatial Branch-and-Bound for Nonconvex Separable Piecewise Linear Optimization

Authors: Thomas Hübner; Akshay Gupte; Steffen Rebennack;

Spatial Branch-and-Bound for Nonconvex Separable Piecewise Linear Optimization

Abstract

Nonconvex separable piecewise linear functions (PLFs) frequently appear in applications and to approximate nonlinearitites. The standard practice to formulate nonconvex PLFs is from the perspective of discrete optimization using special ordered sets and mixed-integer linear programs (MILPs). In contrast, we take the viewpoint of global continuous optimization and present a spatial branch-and-bound algorithm for optimizing a separable discontinuous PLF over a closed convex set. It offers slim and sparse linear programming relaxations, sharpness throughout the search tree, and an increased flexibility in branching decisions. The main feature of our algorithm is the generation of convex underestimators at the root node of the search tree and their quick and efficient updates at each node after branching. Convergence to the global optimum is achieved when the PLFs are lower semicontinuous. A Python implementation of our algorithm is tested on knapsack and network flow problems for both continuous and discontinuous PLFs. Our algorithm is compared with four logarithmic MILP formulations solved by Gurobi’s MILP solver as well as Gurobi’s PLF solver. We also compare our method against mixed-integer nonlinear program formulations solved by Gurobi. The numerical experiments indicate significant performance gains up to two orders of magnitude for medium- to large-sized PLFs. Finally, we also give an upper bound on the additive error from PLF approximations of nonconvex separable optimization. History: Accepted by Andrea Lodi, Area Editor for Design & Analysis of Algorithms—Discrete. Funding: The research of S. Rebennack is supported by the Deutsche Forschungsgemeinschaft [Grant 445857709]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information ( https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2024.0755 ) as well as from the IJOC GitHub software repository ( https://github.com/INFORMSJoC/2024.0755 ). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/ .

Keywords

lower semicontinuity, info:eu-repo/classification/ddc/330, convex underestimators, ddc:330, Economics, global optimization, piecewise linear functions, additive error bound, piecewise linear functions; global optimization; lower semicontinuity; convex underestimators; branching rules; additive error bound, branching rules

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selected citations
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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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